Estimation and Identification of a Varying-Coefficient Additive Model for Locally Stationary Processes
局部平稳过程变系数可加模型的估计与模型识别
The additive model and the varying-coefficient model are both powerful regression tools, with wide practical applications. However, our empirical study on a financial data has shown that both of these models have drawbacks when applied to locally stationary time series. For the analysis of functional data, Zhang and Wang have proposed a flexible regression method, called the varying-coefficient additive model (VCAM), and presented a two-step spline estimation method.…